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Bayesian estimation of stochastic volatility models based on OU processes with marginal Gamma law

Frühwirth-Schnatter, Sylvia; Sögner, Leopold - In: Annals of the Institute of Statistical Mathematics 61 (2009) 1, pp. 159-179

Persistent link: https://www.econbiz.de/10005616142

Bayesian estimation of the Heston volatility model

Frühwirth-Schnatter, Sylvia; Sögner, Leopold - In: Operations research proceedings 2002 : selected papers …, (pp. 480-485). 2003

Persistent link: https://www.econbiz.de/10001752050

Bayesian estimation of stochastic volatility models based on OU processes with marginal Gamma law

Frühwirth-Schnatter, Sylvia; Sögner, Leopold - In: Annals of the Institute of Statistical Mathematics : AISM 61 (2009) 1, pp. 159-180

Persistent link: https://www.econbiz.de/10008173293

Generic Identifiability for REMIS : The Case of Cointegrated Unit Root VAR

Gersing, Philipp; Sögner, Leopold; Deistler, Manfred - 2022

The ``REtrieval from MIxed Sampling'' (REMIS) approach based on blocking developed in Anderson et al. (2016) is concerned with retrieving an underlying high frequency model from mixed frequency observations. In this paper we investigate parameter-identifiability in the Johansen (1995) vector...

Persistent link: https://www.econbiz.de/10013293633